Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk

Mathematics and Computers in Simulation

Volumn 78, Issue 2-3, 2008, Pages 155-171

  da Veiga, Bernardo ^a   Chan, Felix ^b   McAleer, Michael ^a  

^a UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

^b CURTIN UNIVERSITY   (Australia)

Author keywords

Basel accord penalties; China A and B shares; Conditional correlations; Multivariate conditional volatility; Value at risk thresholds

Indexed keywords

INFORMATION ANALYSIS; MARKETING; RISK ANALYSIS;

BASEL ACCORD PENALTIES; CONDITIONAL CORRELATIONS; MULTIVARIATE CONDITIONAL VOLATILITY;

VALUE ENGINEERING;

EID: 43449104500     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.matcom.2008.01.031     Document Type: Article

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